Umberto Cherubini

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Bid-ask bounds for option prices: the two-tail distortion model Quantitative Finance	2025-05-26	Paper
Option pricing generators Frontiers of Mathematical Finance	2023-07-25	Paper
Estimating redenomination risk under Gumbel-Hougaard survival copulas Journal of Economic Dynamics and Control	2021-12-03	Paper
Hierarchical Archimedean dependence in common shock models Methodology and Computing in Applied Probability	2021-11-09	Paper
Extensions and distortions of \(\lambda\)-fuzzy measures Fuzzy Sets and Systems	2021-08-23	Paper
Convolution copula econometrics SpringerBriefs in Statistics	2017-01-17	Paper
Granger Independent Martingale Processes	2016-07-06	Paper
\textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe Journal of Economic Dynamics and Control	2015-12-22	Paper
Contagion-based distortion risk measures Applied Mathematics Letters	2015-05-19	Paper
A convolution-based autoregressive process Copulae in Mathematical and Quantitative Finance	2013-09-20	Paper
On the distribution of the (un)bounded sum of random variables Insurance Mathematics & Economics	2011-08-01	Paper
A copula-based model of speculative price dynamics in discrete time Journal of Multivariate Analysis	2011-05-23	Paper
Fourier transform methods in finance.	2010-07-09	Paper
The dependence structure of running maxima and minima: results and option pricing applications Mathematical Finance	2010-03-12	Paper
Computing the volume of n-dimensional copulas Applied Mathematical Finance	2009-12-16	Paper
A lattice model with incomplete information: A credit risk application Statistics & Decisions	2009-01-09	Paper
A Copula-Based Model of the Term Structure of CDO Tranches Applied Quantitative Finance	2008-12-01	Paper
Structured finance: the object oriented approach. With CD-ROM	2007-07-13	Paper
scientific article; zbMATH DE number 5080942 (Why is no real title available?)	2006-12-27	Paper
A note on adjusting correlation matrices Applied Mathematical Finance	2002-09-05	Paper
Liquidity and credit risk Applied Mathematical Finance	2002-09-05	Paper
Fuzzy measures and asset prices: accounting for information ambiguity Applied Mathematical Finance	2002-09-04	Paper
Neural networks for contingent claim pricing via the Galerkin method	2001-06-20	Paper
scientific article; zbMATH DE number 1304889 (Why is no real title available?)	2000-10-11	Paper

Research outcomes over time

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